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Risk-Off Extension Spills Into SONIA, BoE Follow Up Cut Fully Discounted Through November

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SONIA markets also see dovish moves on the broader risk off backdrop.

  • Futures last 0.25 to 7.5bp firmer vs. settlement, with yesterday’s highs comfortably breached in most contracts.
  • BoE-dated OIS more than fully discounts another BoE rate cut come the end of the November MPC, but shows less than 7bp of easing for September.
  • This comes after BoE Governor Bailey cautioned against the idea of back-to-back rate cuts, while chief economist Pill (a hawkish dissenter) stressed that the Bank has not committed to further easing.
  • Elsewhere, Citi/YouGov inflation expectations data saw modest upticks in both the short- and long-run readings, but the broader cross-market backdrop has dominated early Friday SONIA trade.
  • Looking ahead, Pill will speak again today (12:15 London).
  • Meanwhile, broader focus will fall on U.S. NFPs and wider cross-market moves.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Cut-Adjusted SONIA Rate (bp)
Sep-244.884-6.6
Nov-244.681-26.9
Dec-244.520-43.0
Feb-254.317-63.3
Mar-254.160-79.1
May-253.975-97.5
Jun-253.865-108.5
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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